Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1033 |
| Annualized Std Dev | 0.3221 |
| Annualized Sharpe (Rf=0%) | -0.3207 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4022.0000 |
| NAs | 1.0000 |
| Minimum | -0.2167 |
| Quartile 1 | -0.0077 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0081 |
| Maximum | 0.2658 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0004 |
| Stdev | 0.0203 |
| Skewness | -0.0082 |
| Kurtosis | 20.9131 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0146 |
| Gain Deviation | 0.0156 |
| Loss Deviation | 0.0168 |
| Downside Deviation (MAR=210%) | 0.0191 |
| Downside Deviation (Rf=0%) | 0.0147 |
| Downside Deviation (0%) | 0.0147 |
| Maximum Drawdown | 0.9333 |
| Historical VaR (95%) | -0.0286 |
| Historical ES (95%) | -0.0501 |
| Modified VaR (95%) | -0.0251 |
| Modified ES (95%) | -0.0251 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-02-29 | 2020-03-18 | NA | -0.9333 | 3288 | 3034 | NA |
| 2007-07-16 | 2007-08-16 | 2007-09-21 | -0.2316 | 49 | 24 | 25 |
| 2006-05-10 | 2006-06-13 | 2006-11-24 | -0.1688 | 139 | 24 | 115 |
| 2007-10-19 | 2007-11-19 | 2008-01-03 | -0.1258 | 52 | 22 | 30 |
| 2008-01-11 | 2008-01-23 | 2008-02-28 | -0.1138 | 33 | 8 | 25 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | 0.1 | 0 | 2.2 | 0.7 | 0 | 2.4 | -0.2 | -0.3 | 1.5 | 1 | 7.6 |
| 2006 | 0.4 | 1.8 | -1.1 | 0.1 | -4.2 | 1.2 | 0.7 | 0.9 | 0 | -0.6 | 0 | -0.7 | -1.6 |
| 2007 | -0.5 | -0.7 | -0.7 | -1.1 | 1.5 | -0.1 | -3.6 | 1.2 | 1.8 | -2.7 | -0.1 | 1.5 | -3.6 |
| 2008 | -1.1 | -2.3 | 0.4 | -1 | 1.2 | 1.4 | -0.5 | 0.2 | -0.8 | 4.9 | -19.4 | -0.8 | -18.1 |
| 2009 | 2.4 | -1.8 | 0.4 | 6.2 | 3.9 | 1 | 0.4 | -1.1 | -0.3 | 0.5 | 1.1 | -0.4 | 12.9 |
| 2010 | -0.3 | 0.6 | 1.2 | -0.1 | -1.5 | -3.2 | 0.4 | 0.1 | 0.2 | 0.6 | 0.5 | 1.7 | 0.2 |
| 2011 | 1 | 0.5 | -0.1 | 0.6 | -0.6 | 0.5 | 0.8 | -0.6 | -2.9 | -2 | 2.2 | 1.1 | 0.4 |
| 2012 | -0.2 | 1.2 | 0.8 | -0.1 | 0.4 | 2.4 | -0.9 | 0.1 | 1 | 0.4 | -0.3 | 1.3 | 6.4 |
| 2013 | 0.2 | -0.6 | -0.4 | -0.7 | 0 | 1.7 | -0.6 | -0.6 | -0.6 | -0.5 | 1.9 | 0.8 | 0.7 |
| 2014 | -0.1 | 0.8 | 0 | -0.8 | -0.6 | 1.1 | 1.9 | 0.3 | 0.9 | -3.3 | -1.6 | 2.8 | 1.2 |
| 2015 | 1.4 | 0.5 | 1.4 | 1.5 | -0.3 | -1.1 | -0.8 | -1.7 | -1.8 | 3.5 | 2.2 | 0 | 4.8 |
| 2016 | 2.3 | -0.8 | -2.3 | 4.7 | -0.3 | 0.8 | 0.6 | 0 | 0 | 1.1 | -0.2 | -1.5 | 4.4 |
| 2017 | 0.7 | 2.7 | 0.3 | -0.3 | 0.5 | -1.1 | -1.2 | 0.4 | 0.2 | 0.9 | 0.7 | 0.4 | 4.1 |
| 2018 | -0.2 | -0.8 | 0.4 | -0.6 | 0.8 | 1.2 | -0.2 | 0.2 | 0.1 | 2.2 | 1.8 | -0.5 | 4.4 |
| 2019 | 0.9 | -0.5 | -0.9 | 0 | 0.2 | 0.4 | -0.2 | 0.1 | -0.5 | 0 | 0.7 | 0.7 | 1 |
| 2020 | 0 | -3.5 | -0.4 | 0 | 1.5 | -1.5 | 0.8 | -0.8 | 0.6 | 0.6 | 2.4 | -0.6 | -1 |
| 2021 | 2 | 1.2 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-03-29 20.0 SPY 117. -0.0066 -0.0133 -0.0404 -0.0331 0.0495 0.0171 -0.219 GLD 42.6 0.0005 -0.0123
2 2005-03-30 20 SPY 118. 0.0142 0.0109 -0.0203 -0.0248 0.0496 0.032 -0.213 GLD 42.6 0.00120 -0.0009
3 2005-03-31 20 SPY 118. -0.0019 0.0082 -0.027 -0.028 0.0442 0.0296 -0.226 GLD 42.8 0.0049 0.0094
4 2005-04-01 20.0 SPY 117. -0.0045 0.0025 -0.0309 -0.0305 0.0383 0.0306 -0.235 GLD 42.6 -0.0047 0.0054
5 2005-04-04 20.0 SPY 118. 0.0017 0.0027 -0.0296 -0.0268 0.0338 0.0397 -0.226 GLD 42.4 -0.0052 -0.0033
6 2005-04-05 20 SPY 118. 0.00480 0.0142 -0.037 -0.0175 0.031 0.049 -0.218 GLD 42.4 0.00120 -0.0026
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
